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From |
paula garcia <[email protected]> |

To |
[email protected] |

Subject |
st: re:re:re:Re: panel data hausman negative |

Date |
Wed, 1 Oct 2003 14:49:11 -0400 |

>On Wednesday, October 1, 2003, at 02:33 AM, Paula wrote: >> I have looked for the xthausman command, but stata says "(help hausman for replacement)". >xthausman is described in the Stata 7 manuals [R] xtreg, and appears in Stata 8 as well. Unless you're using an earlier version of Stata, your copy of Stata is incomplete. xthausman is implemented as an ado-file. Kit I have used the xthausman command, however, I am very surprised by some results. When I use whatever of the following alternatives: 1)xtreg y x, fe est store fixed xtreg y x, re hausman fixed . or 2) xtreg y x, re estimates store random_effects xtreg y x, fe hausman . random_effects or 3) xtreg y x, fe hausman, save xtreg y x, re hausman I get always the same result: ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | Consistent Efficient Difference S.E. ------------- ---------------------------------------------------------------- invl1 | 1.974847 1.860985 .1138621 .0419927 desipoterl1 | .9808413 .5775732 .4032681 .1703565 desliqotvl1 | 2.269129 -1.008472 3.277601 .7864388 CPIBreal | .0036555 .0056068 -.0019513 .002446 tendencia | .0000698 .0000947 -.0000249 .0000122 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic chi2(4) = (b-B)'[(V_b-V_B)^(-1)](b-B) = -65.02 chi2<0 ==> model fitted on these data fails to meet the asymptotic assumptions of the Hausman test; see suest for a generalized test This would tell me that I do not have enough information to reject the null, so I have to use random effects. However, if I use the xthausman command, I get: . xthausman (Warning: xthausman is no longer a supported command; use -hausman-. For instructions, see help hausman.) Hausman specification test ---- Coefficients ---- | Fixed Random nfond | Effects Effects Difference ------------- ----------------------------------------- invl1 | 1.974847 1.860985 .1138621 desipoterl1 | .9808413 .5775732 .4032681 desliqotvl1 | 2.269129 -1.008472 3.277601 CPIBreal | .0036555 .0056068 -.0019513 tendencia | .0000698 .0000947 -.0000249 Test: Ho: difference in coefficients not systematic chi2( 5) = (b-B)'[S^(-1)](b-B), S = (S_fe - S_re) = 18.01 Prob>chi2 = 0.0029 which tells me that I have to use fixed effects. How is this possible? Thank you very much, Paula _________________________________________________________ http://www.latinmail.com. Gratuito, latino y en espa�ol. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: re:re:re:Re: panel data hausman negative***From:*Mark Schaffer <[email protected]>

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